cov_shrink_to_market: Shrink The Covariance Matrix towards to the Market Factor

In Reckziegel/PortfolioMoments: Functions to be used in conjuction with PortfolioAnalytics

Description

Implements the covariance matrix as described in Ledoit & Wolf (2003).

Usage

cov_shrink_to_market(R, shrink = TRUE, portfolio = TRUE)

Arguments

R	A vector, matrix, data.frame, xts, timeSeries or zoo object to be checked and coerced.
shrink	A number between 0 and 1.
portfolio	If TRUE only the covariance matrix is printed. If FALSE a list is returned with the covariance-matrix and the shrinkage intensity.

Value

A variance-covariance matrix.

Author(s)

Bernardo Reckziegel

References

Ledoit, Olivier, and Michael Wolf. Improved estimation of the covariance matrix of stock returns with an application to portfolio selection. Journal of empirical finance 10.5 (2003): 603-621.

Examples

cov_shrink_to_market(EuStockMarkets)

Reckziegel/PortfolioMoments documentation built on May 29, 2019, 1:21 p.m.